Hybrid securities are not new; in fact, some of them, such as convertible bonds, have their origin going back more than 100 years. A recent addition to the family is contingent convertible bonds (CoCos), which just like others, were introduced to the market for specific reasons.  CoCos, hybrids between bonds and equities with distinctly unique triggers and conversion features, came into vogue in 2013 as banks in Europe needed to raise capital.  Banks appreciated the flexibility CoCos provided in the event they experience financial difficulty, while investors appreciated the high yields often offered by CoCos.

However, these hybrids can be complex and are often misunderstood in terms of the risk involved.  How can investors – and banks – better understand these instruments, so they know what to expect if the banking sector experiences another meltdown? 

On Wednesday, July 22nd featured speaker Dr. Meng Lu, Senior Vice President and Head of Strategic Product Initiatives at Numerix, provided an overview of CoCos by placing them in the capital structure and reviewing the necessary modeling framework to price and measure the risk of these financial instruments.

Dr. Lu coverED:

  • Reacquainting with the old-timer: convertible bonds
  • Introducing the new kid on the block – CoCos
  • A bird's-eye view of the hybrid neighborhood in the capital structure
  • Some considerations on how to model CoCos
  • A case study example
To view the on-demand webinar, just register on the right side of this page.

Featured Speakers:

Dr. Meng Lu, Senior Vice President and Head of Strategic Product Initiatives, Numerix
Dr. Meng Lu is Senior Vice President and Head of Strategic Product Initiatives at Numerix, responsible for researching, identifying and implementing strategic product development initiatives that can leverage the Numerix CrossAsset analytics library to deliver impactful solutions to clients. Previously, he was Global Head of Financial Engineering, where he led a team of quants globally to provide high value added financial engineering consulting services and support directly to the clients across all asset classes.

Prior to Numerix, Dr. Lu worked at a boutique consulting firm specializing in relative-value trading in fixed income and equity derivatives for trading desks at major investment banks. He holds a PhD in theoretical physics from City University of New York.

Moderator: Jim Jockle, Chief Marketing Officer
Mr. Jockle leads the company's global marketing efforts, spanning a diverse set of solutions and audiences. He oversees integrated marketing communications to customers in the largest global financial markets and to the Numerix partner network through the company's branding, electronic marketing, research, events, public relations, advertising and relationship marketing.

Prior to joining Numerix, he served as Managing Director of Global Marketing and Communications for Fitch Ratings. During his tenure at Fitch, Mr. Jockle built the firm’s public relations program, oversaw investor relations and led marketing and communications plans for several acquisitions. He also oversaw the brand development of a new company dedicated to the enhancement of credit derivative and structured-credit ratings, products and services. Prior to Fitch, Mr. Jockle was a member of the communications team at Moody's Investors Service.

 

Register for the On-Demand Webinar

Select Form: 

Form #1: On-Demand Webinar

Keep me informed of future webinars from Numerix:

Sign me up to receive "Thinking Derivatively" monthly newsletter by Numerix:

* Required fields
next 2020 session video

Structured Deposits in the Chinese Marketplace

next 2020 product video

Product Video: CrossAsset

next 2020 product video

Product Video: Python-Based Content

next 2020 product video

Product Video: Oneview for Trading

next 2020 product video

Product Video: Oneview for the LIBOR Transition

next 2020 session video

Technology for Front Office XVA Management

next 2020 session video

Preparing for Future Market Shocks in the Japanese Market

next 2020 session video

Numerix Quantitative Research and Development Roundtable Discussion

next 2020 session video

What's Next for Numerix Products

next 2020 session video

Numerix Beyond the Pandemic:

written blog

How to Make the Smart Investment in FinTech

on-demand webinar

Adapting Market Risk Management Practices Amidst COVID-19